Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0120
Annualized Std Dev 0.1016
Annualized Sharpe (Rf=0%) -0.1186

Row

Daily Return Statistics

Close
Observations 4296.0000
NAs 1.0000
Minimum -0.0759
Quartile 1 -0.0026
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0027
Maximum 0.0725
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0064
Skewness -0.7622
Kurtosis 24.0931

Downside Risk

Close
Semi Deviation 0.0047
Gain Deviation 0.0046
Loss Deviation 0.0055
Downside Deviation (MAR=210%) 0.0103
Downside Deviation (Rf=0%) 0.0047
Downside Deviation (0%) 0.0047
Maximum Drawdown 0.4386
Historical VaR (95%) -0.0085
Historical ES (95%) -0.0153
Modified VaR (95%) -0.0088
Modified ES (95%) -0.0088
From Trough To Depth Length To Trough Recovery
2004-03-11 2008-10-10 NA -0.4386 4287 1156 NA
2004-03-01 2004-03-02 2004-03-04 -0.0046 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA -0.4 0 0.1 0.8 2.4 1.4 0 -0.2 0.1 0.9 0.4 5.7
2005 0.9 1.1 0.6 0.2 0.6 -0.3 1 -0.9 0.6 0.4 -0.1 0.3 4.4
2006 -0.1 0.3 0.1 0.4 0.1 0.4 0.2 0 0 -0.2 0.7 0.1 2
2007 -0.3 0.3 0.4 0.4 -0.6 0.5 -0.2 0.6 0 0.8 -0.1 0.9 2.8
2008 0.2 -0.1 0.8 0.4 -0.3 -0.1 1.2 0 1.4 1 -1.5 0.2 3.2
2009 0.1 2.4 0.3 -0.4 0.9 0.2 0.2 0.3 0.8 0.4 0.5 0.8 6.6
2010 1 0.7 0.7 0.4 1 0.3 -0.5 0.4 1.3 0.5 -0.1 1.1 7.1
2011 0.4 1.2 0.2 0.4 0.2 -0.2 0.4 0.3 0.2 0.2 -0.5 0 3
2012 0.3 0.2 0.1 0.2 0.5 -0.2 0.4 0.7 0.2 0.9 -0.2 0.2 3.3
2013 0.3 0.2 0 -0.4 0 1.6 -0.5 0.3 0.7 -0.2 -0.2 -0.4 1.4
2014 0 0.1 0 0.5 0.2 -0.3 0.2 0.1 0.8 0 -0.2 0.3 1.6
2015 0.5 0.9 0.6 -0.2 -0.1 0.3 0.6 0.1 -0.3 -0.2 0.9 0.4 3.6
2016 0.2 0.4 -0.2 1.6 -1.4 0.6 0.3 -0.5 -0.2 -0.2 -0.9 0.5 0.3
2017 0 -0.4 0.4 0.1 0.3 0 0.4 0.6 -0.4 0.4 0.1 0.3 1.6
2018 0.6 0 1 -0.3 -0.3 0.5 -0.3 -0.1 0.2 -0.1 0.2 0 1.4
2019 0.1 0 -0.3 0.4 -0.1 0 0.3 0.1 -0.4 0.2 -0.2 0.2 0.2
2020 0.3 -1.1 0.5 0.3 0.1 -0.2 -0.2 0.2 0.2 0.7 0.3 1.3 2.4
2021 -0.1 0.2 0.5 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-02-25  15   SPY    115.  4.20e-3 -0.0068   -0.0086   0.102     0.360  -0.119   -0.0755 <NA>     NA    NA       NA
2 2004-02-26  15.0 SPY    115.  6.00e-4 -0.0025    0.0023   0.0886    0.381  -0.105   -0.099  <NA>     NA    NA       NA
3 2004-02-27  15.1 SPY    115.  7.00e-4  0.00120   0.0146   0.0852    0.364  -0.0844  -0.0979 <NA>     NA    NA       NA
4 2004-03-01  15.0 SPY    116.  9.90e-3  0.0137    0.0236   0.092     0.368  -0.0767  -0.0726 <NA>     NA    NA       NA
5 2004-03-02  15.0 SPY    115. -5.90e-3  0.0095    0.0176   0.0848    0.373  -0.0759  -0.0692 <NA>     NA    NA       NA
6 2004-03-03  15.0 SPY    116.  1.80e-3  0.0071    0.0151   0.0752    0.398  -0.0935  -0.0637 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart